We derive expressions for the first-order bias of the MLE for a Poisson regression model and show how these can be used to adjust the estimator and reduce bias without increasing MSE. The analytic results are supported by Monte Carlo simulations and three illustrative empirical applications.

Extreme Value Theory (EVT) measures the behaviour of extreme observations on a random variable. EVT in risk management, an approach to modelling and measuring risks under rare events, has taken on a prominent role in recent years. This article contributes to the literature in two respects by...

In this article, we compare the forecasting performances of the Self-Exciting Threshold Autoregressive (SETAR) model and a fuzzy clustering regression model. The series used in this study are high-frequency financial data in the form of seven major stock prices in the US stock markets; the stock...